Major depressive disorder (MDD), insomnia (INS) and chronic pain (CP) often have high comorbidity and show high genetic correlation. Here we aimed to better characterize their novel, shared and disorder-specific genetic architecture. Based on genome-wide association study (GWAS) summary data, we applied the conditional false discovery rate (condFDR) and conjunctional FDR (conjFDR) approach to investigate the novel and overlapped genetic loci for MDD, INS and CP. In addition, putative disorder-specific SNP associations were analyzed by conditioning the other two traits. The functions of the identified genomic loci were explored by performing gene set enrichment analysis (GSEA) for the loci mapped genes. We identified 22, 43 and 91 novel risk loci for MDD, INS and CP. GSEA for the loci mapped genes highlighted olfactory signaling pathway for MDD novel loci, breast cancer related gene set for both INS and CP novel loci, and nervous system related development, structure and activity for CP. Furthermore, we identified three loci jointly associated with the three disorders, including 13q14.3 locus with nearby gene OLFM4, 14q21.1 locus with nearby gene LRFN5 and 5q21.2 locus located in intergenic region. In addition, we identified one specific loci for MDD, 7 for INS and 11 for CP respectively by conditioning the other two traits, which were mapped to 68 genes for MDD, 85 for INS and 100 for CP. The MDD specific genes are enriched in immune system related pathways. This study increases understanding of the genetic architectures underlying MDD, INS and CP. The shared underlying genetic risk may help to explain the high comorbidity rates of the disorders.